Non-Parametric VAR Techniques: Myths and Realities
Economic Notes, 30, July, 167-181
Posted: 28 Aug 2012
Date Written: July 1, 2001
Abstract
), Economic Notes, 30, July, 167-181
Keywords: market risk, non parametric, filtered historical simulation
JEL Classification: G19
Suggested Citation: Suggested Citation
Giannopoulos, Kostas and Barone-Adesi, Giovanni, Non-Parametric VAR Techniques: Myths and Realities (July 1, 2001). Economic Notes, 30, July, 167-181, Available at SSRN: https://ssrn.com/abstract=2136952
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